I am trying to compare an ARIMA model based on the price of a cryptocurrency without exogenous variables to one which adds in the number of tweets about the crypto in the same period as an exogenous variable.
I'm using the traditional box-jenkins method of estimating the best model and parameters using autocorrelation and partial autocorrelation plots. Despite being outdated i settled on this instead of using AIC or similar metrics. ( i am a beginner )
How do i estimate the parameters for my model once i am introducing the exogenous variables? Is there a way to use these same correlation plots on these?
I am also performing a grid search on the endogenous variable alone as well as with the exogenous variable the result of which is that the same or very similar parameters perform best (using RMSE).
Any insight would be very helpful! thanks